Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0775
Annualized Std Dev 0.2473
Annualized Sharpe (Rf=0%) 0.3135

Row

Daily Return Statistics

Close
Observations 3846.0000
NAs 1.0000
Minimum -0.1215
Quartile 1 -0.0064
Median 0.0006
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0076
Maximum 0.1311
SE Mean 0.0003
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0156
Skewness -0.1410
Kurtosis 8.8055

Downside Risk

Close
Semi Deviation 0.0112
Gain Deviation 0.0112
Loss Deviation 0.0121
Downside Deviation (MAR=210%) 0.0156
Downside Deviation (Rf=0%) 0.0110
Downside Deviation (0%) 0.0110
Maximum Drawdown 0.5580
Historical VaR (95%) -0.0232
Historical ES (95%) -0.0376
Modified VaR (95%) -0.0230
Modified ES (95%) -0.0369
From Trough To Depth Length To Trough Recovery
2008-06-06 2009-03-09 2013-03-08 -0.5580 1197 190 1007
2020-02-18 2020-03-23 2020-10-07 -0.3500 163 25 138
2014-03-07 2016-01-20 2017-06-01 -0.3048 816 472 344
2007-10-11 2008-01-22 2008-05-30 -0.1944 160 70 90
2006-05-10 2006-07-17 2007-02-01 -0.1850 184 47 137

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA NA NA NA NA NA NA -0.7 -0.7
2006 -0.3 1.2 0.7 -0.5 2.4 1.6 -1.4 1.1 -0.5 1.6 -0.5 -0.6 4.9
2007 1.2 -0.9 -0.1 -1.4 1 0 0.9 1.4 3.5 -3.3 -1.3 -1.4 -0.4
2008 1.9 -1.3 2.9 2.2 1.5 0 -0.6 -0.6 -3.2 2.4 -12.1 2.4 -5.4
2009 -3.8 0.3 1.8 0.6 4.1 1.4 -1 -1.8 -3.6 -2.9 1.4 -0.8 -4.5
2010 0.6 2.1 0.7 -2.2 -3 -0.6 -0.3 4.1 0.4 -0.8 2.3 -0.6 2.5
2011 3 -2.1 0.3 0.2 -3.1 1.5 -0.7 -2.5 -3.8 -3.1 -1.4 -0.5 -11.8
2012 2.7 0.4 0.2 0.4 -2.2 2.1 -0.8 0.3 -0.1 1.9 -0.2 2 6.8
2013 0.9 -0.1 -1.6 -1.2 -1.2 0.8 1.3 -1.2 0.6 -0.4 0 0.2 -1.8
2014 -0.5 0.1 0.6 -0.2 -0.2 0.6 -0.2 0.3 -0.9 0.5 -1 -1 -1.7
2015 -1.7 -0.3 0 0.2 0.3 0 -0.3 -2.4 -0.1 0.2 1 -0.6 -3.6
2016 -1.4 1.8 1 -0.6 0.6 0 -0.5 0 0.8 -1.5 0 -0.3 -0.4
2017 -0.1 1.6 0.1 -0.1 1.2 0.6 0.3 0.3 0.2 0.1 -0.9 -0.3 3
2018 0.5 -1.6 1.3 0.2 0.6 0.3 -0.9 0.3 -0.5 1.9 1.2 0.8 4
2019 -0.1 0.5 1 -0.8 -0.1 0.4 -0.7 0.2 -1.8 0.9 -0.4 -0.2 -1.1
2020 -2.2 -2.6 -6.4 -2.8 -0.3 -0.4 -0.5 1.1 0.4 -0.9 0.7 0.9 -12.5
2021 1.8 1.9 -0.3 NA NA NA NA NA NA NA NA NA 3.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2005-12-06  15.5 SPY    127.  1.90e-3  0.00580   0.0386   0.0235   0.0738    0.387  -0.0496 GLD    50.9  0.0022    0.0219
2 2005-12-07  15.3 SPY    126. -5.80e-3  0.0053    0.0315   0.0209   0.0614    0.37   -0.0469 GLD    51.3  0.0084    0.0452
3 2005-12-08  15.2 SPY    126  -6.00e-4 -0.0054    0.0308   0.0112   0.057     0.408  -0.047  GLD    51.9  0.0113    0.0345
4 2005-12-09  15.4 SPY    126.  2.60e-3 -0.0041    0.0322   0.0159   0.0587    0.393  -0.0526 GLD    52.4  0.00960   0.0413
5 2005-12-12  15.5 SPY    126.  9.00e-4 -0.001     0.0252   0.0226   0.0505    0.393  -0.0818 GLD    52.6  0.0031    0.0351
6 2005-12-13  15.7 SPY    127.  6.80e-3  0.0039    0.0287   0.0333   0.054     0.403  -0.0606 GLD    51.6 -0.0173    0.0149
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart